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Title:

Limit experiments of GARCH

Document type:
Zeitschriftenaufsatz
Author(s):
Buchmann, B. and Müller, G.
Abstract:
GARCH is one of the most prominent nonlinear time series models, both widely applied and thoroughly studied. Recently, it has been shown that the COGARCH model, which has been introduced a few years ago by Klüppelberg, Lindner and Maller, and Nelson's diffusion limit are the only functional continuous-time limits of GARCH in distribution. In contrast to Nelson's diffusion limit, COGARCH reproduces most of the stylized facts of financial time series. Since it has been proved, that Nelson's diffus...     »
Keywords:
COGARCH; Le Cam's deficiency distance; random thinning; statistical equivalence; time series
Journal title:
Bernoulli
Year:
2012
Journal volume:
18
Journal issue:
1
Pages contribution:
64-99
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.3150/10-BEJ328
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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